14-147/III - Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice

• Authors
  Laurent Callot, VU University Amsterdam, the Netherlands; Anders B. Kock, Aarhus University, Denmark; Marcelo C. Medeiros, Pontifical Catholic University of Rio de Janeiro, Brasil
• Publication date
  November 13, 2014

• Keywords
  Realized covariance, vector autoregression, shrinkage, Lasso, forecasting, portfolio allocation
• JEL
  C22